Programmer - WM_MOUSELEAVE not being generated when left mouse button is held

Programmer Question

In my Win32 app, I don't get WM_MOUSELEAVE messages when I hold down the left mouse button and quickly move the mouse pointer out of the window. But If I, holding down the left mouse button, start from the inside of the window and move slowly past the window edge, it'll generate a WM_MOUSELEAVE.

If I don't hold the left mouse button, I get WM_MOUSELEAVE messages every time no matter how fast the mouse pointer moves off the window.

What's the difference? What can I do to handle both cases properly?

EDIT: If I left click and hold, move out of the window and then let go of the left mouse button I get the WM_MOUSELEAVE message. But it's way too late.